This paper provides a comprehensive survey of existing measures of uncertainty, risk, and
volatility, noting their conceptual distinctions. It summarizes how they are constructed, their …

This paper studies the nonlinear response of the term structure of interest rates to monetary
policy shocks and presents a new stylized fact. We show that uncertainty about monetary …

In this study, we quantify the propagation effects of the US monetary policy uncertainty
(MPU) shock on real equity prices of 33 advanced and emerging countries over the period …

This study shows how exchange market pressure, FDI inflow, and FDI outflow in large
emerging market economies interact with monetary policy uncertainty from the United States …

Do inflation expectations react to changes in the volatility of monetary policy? They have, but
only until the global financial crisis. This paper investigates whether increasing the …

In this study, we present new empirical insights for monetary policy uncertainty perception in
Turkey by introducing a set of new measures. We construct a news-based measure based …

We propose a new measure of macroeconomic disagreement, using dispersions of
forecasts of a wide range of financial, activity and inflation variables from both household …

This paper investigates the role of domestic and foreign uncertainty shocks for
macroeconomic dynamics in Thailand. We construct and compare various indicators of …

The authors propose novel tests for the detection of Markov switching deviations from
forecast rationality. Existing forecast rationality tests either focus on constant deviations from …

This article discusses macroeconomic policies in a low interest rate environment, the central
theme of the 2017 edition of the Melbourne Institute Macroeconomic Policy Meeting. After …